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cointegration analysis. Based on the estimated models, the thesis of the existence of a long-run relationship between the studied … test of causality were applied. The study was conducted using monthly data covering quotes from August 2012 to April 2021 …
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We propose a method to explore the causal transmission of an intervention through two endogenous variables of interest. We refer to the intervention as a catalyst variable. The method is based on the reduced-form system formed from the conditional distribution of the two endogenous variables...
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